Pages that link to "Item:Q3006607"

The following pages link to OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607):

Displaying 50 items.

• Liquidation with self-exciting price impact (Q253113) (← links)
• Optimal portfolio liquidation in target zone models and catalytic superprocesses (Q287674) (← links)
• Incorporating order-flow into optimal execution (Q300846) (← links)
• Dynamic portfolio choice with frictions (Q308647) (← links)
• Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
• Optimal deleveraging with nonlinear temporary price impact (Q319326) (← links)
• Regular finite fuel stochastic control problems with exit time (Q328524) (← links)
• Drift dependence of optimal trade execution strategies under transient price impact (Q377452) (← links)
• Optimal placement in a limit order book: an analytical approach (Q513747) (← links)
• Smooth solutions to portfolio liquidation problems under price-sensitive market impact (Q681996) (← links)
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) (← links)
• Equilibrium effects of intraday order-splitting benchmarks (Q829334) (← links)
• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (Q1681457) (← links)
• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk (Q1706677) (← links)
• Optimal trade execution under jump diffusion process: a mean-VaR approach (Q1727117) (← links)
• \(L^p\) solution of backward stochastic differential equations driven by a marked point process (Q1756570) (← links)
• A trade execution model under a composite dynamic coherent risk measure (Q1785321) (← links)
• Optimal liquidation under partial information with price impact (Q1986008) (← links)
• Asymptotic approach for backward stochastic differential equation with singular terminal condition (Q1994916) (← links)
• Generalization of affine feedback stock trading results to include stop-loss orders (Q2063816) (← links)
• Portfolio liquidation under factor uncertainty (Q2117436) (← links)
• Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (Q2132528) (← links)
• A class of optimal liquidation problem with a nonlinear temporary market impact (Q2217828) (← links)
• Optimal portfolio deleveraging under market impact and margin restrictions (Q2240011) (← links)
• Multi-dimensional optimal trade execution under stochastic resilience (Q2274225) (← links)
• Real options approach to explore the effect of organizational change on IoT development project (Q2359407) (← links)
• Regularized robust optimization: the optimal portfolio execution case (Q2376119) (← links)
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics (Q2408894) (← links)
• Optimal investment in an illiquid market with search frictions and transaction costs (Q2701076) (← links)
• SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS (Q2953306) (← links)
• Optimal Execution with Dynamic Order Flow Imbalance (Q3456840) (← links)
• Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058) (← links)
• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
• Optimal Trade Execution Under Stochastic Volatility and Liquidity (Q4586036) (← links)
• Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (Q4596852) (← links)
• Mechanics of good trade execution in the framework of linear temporary market impact (Q5014181) (← links)
• Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
• Applying regression techniques in designing optimal trade execution strategy for an asset (Q5070610) (← links)
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
• Optimal solution of the liquidation problem under execution and price impact risks (Q5079391) (← links)
• Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon (Q5157372) (← links)
• Finite horizon optimal execution with bounded rate of transaction (Q5243383) (← links)
• DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
• Optimal Execution with Multiplicative Price Impact (Q5250046) (← links)
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (Q5252499) (← links)
• OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522) (← links)
• OPTIMAL EXECUTION HORIZON (Q5262523) (← links)
• Optimal portfolio execution under time-varying liquidity constraints (Q5373911) (← links)
• Price manipulation in a market impact model with dark pool (Q5373912) (← links)
• Optimal trade execution under price-sensitive risk preferences (Q5397469) (← links)